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When you say gif you mean animated, or do you just want to change the file format?

I usually use a german gif program called GIf-X, but it should be easy in photoshop too.
Open picture A (edit it if you want to)
When you are done Add a new layer and add picture B (and so on if you have more pics)

Click "save as compuserve gif"

You'll get to choose animation speed (just play around til it looks good to you), and be sure to click "animate".